Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0516 |
| Annualized Std Dev | 0.2061 |
| Annualized Sharpe (Rf=0%) | 0.2506 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3860.0000 |
| NAs | 1.0000 |
| Minimum | -0.1080 |
| Quartile 1 | -0.0046 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0054 |
| Maximum | 0.1126 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0002 |
| Stdev | 0.0130 |
| Skewness | -0.0708 |
| Kurtosis | 13.0721 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0093 |
| Gain Deviation | 0.0099 |
| Loss Deviation | 0.0106 |
| Downside Deviation (MAR=210%) | 0.0138 |
| Downside Deviation (Rf=0%) | 0.0092 |
| Downside Deviation (0%) | 0.0092 |
| Maximum Drawdown | 0.5857 |
| Historical VaR (95%) | -0.0185 |
| Historical ES (95%) | -0.0314 |
| Modified VaR (95%) | -0.0179 |
| Modified ES (95%) | -0.0179 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-04 | 2009-03-09 | 2013-03-28 | -0.5857 | 1466 | 445 | 1021 |
| 2020-02-18 | 2020-03-23 | 2021-01-07 | -0.3724 | 226 | 25 | 201 |
| 2014-12-19 | 2016-01-20 | 2016-04-18 | -0.1566 | 333 | 272 | 61 |
| 2018-09-21 | 2018-12-24 | 2019-04-01 | -0.1526 | 131 | 65 | 66 |
| 2018-01-29 | 2018-03-23 | 2018-08-20 | -0.0981 | 142 | 39 | 103 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2005 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.1 | -0.5 | 0.6 |
| 2006 | 0.3 | 0.6 | 0 | -0.8 | 1.1 | -0.1 | -0.1 | 0.3 | -0.6 | -0.2 | 0.1 | -0.6 | 0 |
| 2007 | 0.6 | -0.1 | -0.1 | 0.2 | 0.6 | -0.6 | 1.4 | 0.5 | 1.7 | -2.6 | 0.9 | -0.6 | 1.8 |
| 2008 | 1.7 | -2.7 | 4 | 3.3 | -0.5 | 0.8 | 0.1 | -0.5 | 1.9 | 3.1 | -10.4 | 2 | 1.8 |
| 2009 | -3.9 | -1.9 | 2 | 0.3 | 2.5 | 1.2 | -0.1 | -1.9 | -2.1 | -2.2 | 1.2 | -1.4 | -6.5 |
| 2010 | 0.9 | 1.1 | 0.7 | -1.3 | -1.8 | -0.4 | -0.2 | 2.7 | 0.4 | -0.1 | 1.6 | -0.3 | 3.2 |
| 2011 | 1 | -1.4 | 0.5 | -0.1 | -1.9 | 1.4 | -0.6 | -1 | -2 | -2.7 | -0.6 | -0.7 | -7.8 |
| 2012 | 1.1 | 0.2 | 0.1 | 0.4 | -2 | 1.7 | -0.5 | 0.3 | -0.1 | 1.2 | 0.3 | 1.5 | 4.2 |
| 2013 | 0.8 | 0.3 | -0.5 | -0.8 | -1.4 | 0.8 | 1.2 | -0.5 | 0.8 | 0.3 | -0.2 | 0.1 | 0.8 |
| 2014 | -0.4 | 0.5 | 0.3 | -0.1 | 0.3 | 0.3 | -0.1 | 0.3 | -1 | 1.1 | -0.6 | -1.1 | -0.6 |
| 2015 | -1.5 | -0.2 | -0.4 | 0.8 | 0.1 | 1.1 | 0.1 | -2.6 | -0.2 | -0.2 | 0.7 | -1.1 | -3.4 |
| 2016 | 0.4 | 1.8 | 0.6 | -0.3 | 0.2 | 0.1 | -0.3 | -0.1 | 0.7 | -0.9 | 0 | -0.2 | 1.9 |
| 2017 | -0.7 | 1.1 | -0.1 | -0.1 | 1 | 0.1 | 0.4 | 0.4 | 0 | 0 | -0.3 | -0.3 | 1.5 |
| 2018 | -0.6 | -0.7 | 0.9 | 0 | 0.3 | 0 | -0.7 | 0.1 | -0.1 | 1.3 | 0.9 | 0.8 | 2.4 |
| 2019 | 0.1 | 0.1 | 0.8 | -1 | -0.9 | 0.4 | -1.5 | 0.3 | -1.5 | 0.8 | -0.6 | 0.2 | -2.8 |
| 2020 | -1.9 | -2.1 | -4.6 | -3.3 | 0.9 | -0.7 | -0.4 | 0.2 | 0 | 0 | 0.8 | 0.5 | -10.2 |
| 2021 | 0.9 | 1.8 | -1.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.6 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2005-11-15 53.9 SPY 123. -0.0036 0.0083 0.0347 0.0085 0.0455 0.358 -0.123 GLD 46.7 0.0009 0.0163
2 2005-11-16 53.7 SPY 123. 0.002 0.009 0.0481 0.0106 0.0414 0.351 -0.118 GLD 47.8 0.024 0.0262
3 2005-11-17 54.1 SPY 125. 0.00930 0.0105 0.0406 0.0177 0.0497 0.378 -0.0877 GLD 48.5 0.0147 0.043
4 2005-11-18 54.4 SPY 125. 0.0039 0.0111 0.0634 0.0217 0.0657 0.385 -0.077 GLD 48.5 -0.0004 0.0355
5 2005-11-21 54.7 SPY 126. 0.005 0.0167 0.0646 0.0288 0.0659 0.362 -0.0961 GLD 49.0 0.0109 0.0508
6 2005-11-22 54.7 SPY 126. 0.0043 0.0248 0.0529 0.0425 0.0689 0.342 -0.095 GLD 49.3 0.0067 0.057
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
